I just tested it on vista with a wizard-created standard-project, no special settings, and debugging into wxWidgets works fine.
Self build (of course) C::B from trunk (r5923).
wxWidgets 2.8.10 build the same way as yours.
All build with TDM's gcc 4.4.1-2, debugger is gdb 7.02.
The project is in "c:\new\tmp\testtt", wxWidgets is below "c:\wxwidgets-2.8.10", that's also the base path of the global variable "wx", all other fields of the settings for "wx" are left empty.